Primary sclerosing cholangitis (PSC) is associated with an increased risk of gastrointestinal malignancies. Patients with PSC and ulcerative colitis have a higher risk of developing colorectal cancer than patients with ulcerative colitis alone. Surveillance employing annual screening colonoscopy is well established. However, the risk of cholangiocarcinoma remains a complex challenge for the gastroenterologist. Only comprehensive diagnostics including laboratory studies, imaging, and complex endoscopic diagnostics allow timely recognition of cholangiocarcinoma. This is most important for the prognosis of patients and relevant for determining the optimal time for liver transplantation, which remains the only curative treatment available so far. In this review, we focus on the gastrointestinal malignancies associated with PSC and discuss possible surveillance strategies.